Just to make sure you are set up properly or like I am anyways.
My Watch>Mail> Set to Custom
Allow Notifications checked On
Down further check your account (in my case iCloud) toggled on tap this
then
Show Alerts from (name here, me it is iCloud) toggled On
Sounds Toggle on
Haptic toggle on
Back on main mail page, near the bottom
Accounts, make sure your account is shown in here as Mail Account on Apple Watch
Make sure you have sound and haptics turn on in
My Watch>Sounds & Haptics
Also make sure Silent Mode is not toggled on
Next check notifications
My Watch>Notifications
notification indicator>Toggle on
Let us know how this goes